Be sure to use the version for Windows NT 4.0 and 2000; not the one for Windows 95
Use winecfg to change the Windows version for 'msnmsgr' to 'Windows NT 4.0', otherwise Messenger will refuse to log you in, telling you it needs to be updated
Place riched20.dll in Wine's windows/system32 folder, and use winecfg to add a DLL override so 'msnmsgr' uses native 'riched20'
Go to 'Tools' -> 'Options...' -> 'General' and uncheck 'Display MSN Today when Messenger signs in'